Gabriel Frahm

Helmut Schmidt University

Prof. Dr.

Holstenhofweg 85

Hamburg, 22008

Germany

http://www.hsu-hh.de/stochastik/

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 27,866

SSRN RANKINGS

Top 27,866

in Total Papers Downloads

1,525

CITATIONS
Rank 30,623

SSRN RANKINGS

Top 30,623

in Total Papers Citations

7

Scholarly Papers (12)

1.

A General Approach to Bayesian Portfolio Optimization

Mathematical Methods of Operations Research 70, 337–356 (2009)
Number of pages: 26 Posted: 25 Sep 2008 Last Revised: 18 Jun 2012
Alexander Bade, Gabriel Frahm and Uwe Jaekel
University of Cologne, Helmut Schmidt University and University of Applied Sciences Koblenz
Downloads 559 (44,732)
Citation 1

Abstract:

Loading...

Bayesian portfolio optimization, Gordin's condition, Markov chain Monte Carlo, Stylized facts

2.

Tyler's M-Estimator, Random Matrix Theory, and Generalized Elliptical Distributions with Applications to Finance

Number of pages: 26 Posted: 21 Oct 2008
Gabriel Frahm and Uwe Jaekel
Helmut Schmidt University and University of Applied Sciences Koblenz
Downloads 261 (109,260)
Citation 1

Abstract:

Loading...

Eigenspectrum, Eigenvalue, Financial data, Generalized elliptical distribution, Heavy tail, Marcenko-Pastur law, Principal components analysis, Random matrix theory, Spectral density, stylized facts, Tail dependence, Tail index, Tyler's M-estimator

3.

A Theoretical Foundation of Portfolio Resampling

Theory and Decision, DOI: 10.1007/s11238-014-9453-0
Number of pages: 30 Posted: 27 Jun 2012 Last Revised: 21 Jul 2014
Gabriel Frahm
Helmut Schmidt University
Downloads 171 (163,876)

Abstract:

Loading...

Asset allocation, Mean-variance analysis, Noise trader, Out-of-sample performance, Portfolio resampling, Resampled efficiency, Signal trader

4.

Linear Statistical Inference for Global and Local Minimum Variance Portfolios

Statistical Papers 51, 789-812 (2008)
Number of pages: 23 Posted: 26 Sep 2008 Last Revised: 18 Jun 2012
Gabriel Frahm
Helmut Schmidt University
Downloads 165 (169,112)
Citation 2

Abstract:

Loading...

Estimation risk, Linear regression theory, Markowitz portfolio, Minimum variance portfolio, Portfolio optimization, Top down investment.

5.

An Analytical Investigation of Estimators for Expected Asset Returns from the Perspective of Optimal Asset Allocation

Number of pages: 24 Posted: 04 Mar 2010 Last Revised: 09 Mar 2010
Gabriel Frahm
Helmut Schmidt University
Downloads 119 (220,071)

Abstract:

Loading...

Asset Allocation, Bayes-Stein Estimator, CAPM Estimator, James-Stein Estimator, Minimum-Variance Estimator, Naive Diversification, Out-of-Sample Performance, Risk Function, Shrinkage Estimation

6.

Pricing and Valuation under the Real-World Measure

Number of pages: 40 Posted: 11 Dec 2014 Last Revised: 21 Feb 2018
Gabriel Frahm
Helmut Schmidt University
Downloads 85 (276,321)

Abstract:

Loading...

Arbitrage, complete market, complex market, efficient market, enlargement of filtrations, Fundamental Theorem of Asset Pricing, growth-optimal portfolio, immersion, numéraire portfolio, pricing, sensitive market, valuation.

7.

Arbitrage Pricing Theory in Ergodic Markets

Number of pages: 22 Posted: 31 Oct 2017 Last Revised: 09 Nov 2017
Gabriel Frahm
Helmut Schmidt University
Downloads 53 (355,825)

Abstract:

Loading...

beta; common risk; ergodicity; expected return; factor model; idiosyncratic risk

8.

Dominating Estimators for the Global Minimum Variance Portfolio

Bundesbank Series 2 Discussion Paper No. 2009,01
Number of pages: 44 Posted: 08 Jun 2016
Gabriel Frahm and Christoph Memmel
Helmut Schmidt University and Deutsche Bundesbank
Downloads 51 (362,027)
Citation 3

Abstract:

Loading...

Covariance matrix estimation, global minimum variance portfolio, James-Stein estimation, naive diversification, shrinkage estimator

9.

Cognizance vs. Ignorance in Aumann's Model of Strategic Conflict

Number of pages: 35 Posted: 05 Jun 2015 Last Revised: 28 Oct 2016
Gabriel Frahm
Helmut Schmidt University
Downloads 40 (399,105)

Abstract:

Loading...

Belief, conjecture, correlated equilibrium, counterfactual, imperfect information, knowledge, prisoners' dilemma, strategic independence, strategic uncertainty

10.

A Solution to Ellsberg's Paradox

Number of pages: 7 Posted: 29 Jan 2018
Gabriel Frahm
Helmut Schmidt University
Downloads 21 (485,769)

Abstract:

Loading...

Ambiguity, Ellsberg's Paradox, Risk, Sure-thing Principle, Uncertainty

11.

The Fundamental Theorems of Asset Pricing and the Closed-End Fund Puzzle

Posted: 31 Oct 2017
Gabriel Frahm, Alexander Jonen and Rainer Schüssler
Helmut Schmidt University, Helmut-Schmidt-Universität, Fakultät für Wirtschafts- und Sozialwissenschaften and University of Rostock - Department of Economics

Abstract:

Loading...

Admissibility, Closed-End Fund Puzzle, discount, Fundamental Theorem of Asset Pricing, maximal strategy, net asset value, no arbitrage, premium.

12.

Dominating Estimators for Minimum-Variance Portfolios

Journal of Econometrics, Vol. 159, pp. 289-302, 2010
Posted: 20 Oct 2010
Gabriel Frahm and Christoph Memmel
Helmut Schmidt University and Deutsche Bundesbank

Abstract:

Loading...

Covariance Matrix Estimation, Minimum-Variance Portfolio, Stein Estimation, Naive Diversification, Shrinkage Estimator